Remove the rounded corners from the first item of the selectMenu when opening a list that descends from a menu, or remove the rounded corners from the last item of the selectMenu when opening a list that opens upwards.

This could be done with a css rule that overrides the rounded corner rules based on some attribute of the ui-selectMenu.

Ex. (add the following rules and the downwards / upwards indicator)

.ui-selectmenu.downwards .ui-selectmenu-list > div > div:first-child {
   -webkit-border-top-right-radius: 0;
   -webkit-border-top-left-radius: 0;
   -moz-border-top-right-radius: 0;
   -moz-border-top-left-radius: 0;
   border-top-right-radius: 0;
   border-top-left-radius: 0;
}

.ui-selectmenu.upwards .ui-selectmenu-list > div > div:last-child {
   -webkit-border-bottom-right-radius: 0;
   -webkit-border-bottom-left-radius: 0;
   -moz-border-bottom-right-radius: 0;
   -moz-border-bottom-left-radius: 0;
   border-top-bottom-radius: 0;
   border-top-bottom-radius: 0;
}